Estimating Value - at Risk ( VaR ) using TiVEx - POT Models

Abstract

Financial institutions hold risks in their investments that can potentially affect their ability to serve their clients. For banks to weigh their risks, Value-at-Risk (VaR) methodology is used, which involves studying the distribution of losses and formulating a statistic from this distribution. From the myriad of models, this paper proposes a method of… (More)

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Cite this paper

@inproceedings{DILIMAN2009EstimatingV, title={Estimating Value - at Risk ( VaR ) using TiVEx - POT Models}, author={PHILIPPINES DILIMAN and Julian A. Cayton and Mary Therese A. Lising and Dennis S. Mapa}, year={2009} }